Most of the day's movement came from FX. NZD/USD deepened to -3.5% on the month (from -0.9%), its biggest move since August 26. Dollar-franc realized vol moved from +7.7% to +5.2%. USD/CHF extended to +3.0% on the month (from +0.0%). Two of its six groups moved at once.
4.5× its usual move
Dollar-franc realized vol moved from +7.7% to +5.2%, its biggest move since August 26. Aussie-dollar realized vol sits at +5.9%.
2.2× its usual move
USD/CHF extended to +3.0% on the month (from +0.0%), its biggest move since June 29. USD/JPY moved from -3.0% to -0.9%.
2.1× its usual move
NZD/USD deepened to -3.5% on the month (from -0.9%), its biggest move since August 26.
1.6× its usual move
Dollar-peso realized vol moved from +4.2% to +4.8%. Dollar-rand realized vol moved from +7.2% to +8.3%.
1.0× its usual move
Aussie-S&P co-movement went from -0.13 to -0.16. The dollar moved from +0.1% to +0.0%.
Descriptive research, not investment advice